New Mexico PERA returns 4.2% for fiscal year 2023

New Mexico Public Employees Retirement Association, Santa Fe, N.M, earned a net 4.2%, below its 6.9% benchmark for the fiscal year ended June 30, Michael Shackelford, CIO told the board on Thursday.

The $16.6 billion pension fund lagged its 7.25% assumed rate of return for the short and intermediate time periods, attributing the underperformance to market turmoil during the 12-month period, he said. The pension fund produced a net annualized 8.3% return, above its 5.8% benchmark for the three-year period; a net annualized 5.9%, besting its 4.5% benchmark for five-years, and a net annualized 6.6%, outperforming its 5.9% benchmark for 10-years.

The pension plan's return was a net -1.67% for the 2022 fiscal year.

While New Mexico PERA's public equity portfolio captured some of the market rally in April, May and June in the 12-months ended June 30, private equity did not. Global equity, which includes private and public equity, was the pension fund's top performing asset class, returning 7% for the year ended June 30, underperforming its 14.7% benchmark. Its risk reduction portfolio had the worst fiscal year return with -0.8%, above its -0.9% benchmark.

New Mexico PERA has a 38% target allocation to global equity, 19% target to credit-oriented fixed income, 18% to real assets, 17% to risk reduction and mitigation and 8% to multirisk composite.